Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions
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Date
2020
Publication Type
Journal Article
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Abstract
We study a class of nonlinear integrodifferential equations on a subspace of all probability measures on the real line related to the optimal control of McKean-Vlasov jump-diffusions. We develop an intrinsic notion of viscosity solutions that does not rely on the lifting to a Hilbert space and prove a comparison theorem for these solutions. We also show that the value function is the unique viscosity solution.
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published
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Journal / series
Volume
58 (3)
Pages / Article No.
1676 - 1699
Publisher
SIAM
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Subject
Viscosity solutions; McKean-Vlasov control; Wasserstein space; Optimal control
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Funding
172815 - Asymptotics and Model Uncertainty in Optimal Control (SNF)
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